| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w24213 |
| 来源ID | Working Paper 24213 |
| Corporate Credit Risk Premia | |
| Antje Berndt; Rohan Douglas; Darrell Duffie; Mark Ferguson | |
| 发表日期 | 2018-01-22 |
| 出版年 | 2018 |
| 语种 | 英语 |
| 摘要 | We measure credit risk premia - prices for bearing corporate default risk in excess of expected default losses - using Markit CDS and Moody’s Analytics EDF data. We find dramatic variation over time in credit risk premia, with peaks in 2002, during the global financial crisis of 2008-09, and in the second half of 2011. Even after normalizing these premia by expected default losses, median credit risk premia fluctuate over time by more than a factor of ten. Credit risk premia comove with macroeconomic indicators, even after controlling for variation in expected default losses, with higher premia per unit of expected loss during times of market-wide distress. Countercyclical variation of premia-to-expected-loss ratios is more pronounced for investment-grade issuers than for high-yield issuers. |
| 主题 | Financial Economics ; Portfolio Selection and Asset Pricing ; Financial Markets ; Financial Institutions |
| URL | https://www.nber.org/papers/w24213 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/581886 |
| 推荐引用方式 GB/T 7714 | Antje Berndt,Rohan Douglas,Darrell Duffie,et al. Corporate Credit Risk Premia. 2018. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w24213.pdf（1833KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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